Bilateral Estimation of the Bellman Function in the Problems of Optimal Stochastic Control of Discrete Systems by the Probabilistic Performance Criterion
- Авторы: Azanov V.M.1, Kan Y.S.1
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Учреждения:
- Moscow Aviation Institute (National State University)
- Выпуск: Том 79, № 2 (2018)
- Страницы: 203-215
- Раздел: Topical Issue
- URL: https://journals.rcsi.science/0005-1179/article/view/150814
- DOI: https://doi.org/10.1134/S0005117918020017
- ID: 150814
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Аннотация
Consideration was given to the optimal control of discrete stochastic systems by the probabilistic quality criterion. The new characteristics of the Bellman equation for this class of problems were examined, and the two-sided estimate of the Bellman function was determined. The problem of optimal control of the security portfolio with one riskless and a given number of risk assets was considered by way of example. The class of strategies featuring asymptotic optimality was established using the two-sided estimate of the Bellman function.
Об авторах
V. Azanov
Moscow Aviation Institute (National State University)
Автор, ответственный за переписку.
Email: azanov59@gmail.com
Россия, Moscow
Yu. Kan
Moscow Aviation Institute (National State University)
Email: azanov59@gmail.com
Россия, Moscow
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